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Islamic equity markets versus their conventional counterparts in the COVID‐19 age: Reaction, resilience, and recovery

Author

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  • Md Iftekhar Hasan Chowdhury
  • Faruk Balli
  • Anne de Bruin

Abstract

We undertake a comparative examination of Islamic equity markets and their conventional counterparts during the COVID‐19 pandemic via maximum drawdown‐based risk measures. The two‐digit drawdown throughout the underlying sectors signifies the indiscriminate impact of the pandemic. It appears that most of the Islamic sectors experience relatively lower drawdown as well as faster recovery than their non‐Islamic counterparts. During the period, Islamic markets outperformed their counterparts. Islamic markets also hold healthier Calmar ratios while the emerging markets retain relatively higher metrics.

Suggested Citation

  • Md Iftekhar Hasan Chowdhury & Faruk Balli & Anne de Bruin, 2022. "Islamic equity markets versus their conventional counterparts in the COVID‐19 age: Reaction, resilience, and recovery," International Review of Finance, International Review of Finance Ltd., vol. 22(2), pages 315-324, June.
    • Handle: RePEc:bla:irvfin:v:22:y:2022:i:2:p:315-324
    DOI: 10.1111/irfi.12349
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    References listed on IDEAS

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    1. Ioannis Psaradellis & Jason Laws & Athanasios A. Pantelous & Georgios Sermpinis, 2019. "Performance of technical trading rules: evidence from the crude oil market," The European Journal of Finance, Taylor & Francis Journals, vol. 25(17), pages 1793-1815, November.
    2. Mendes, Beatriz Vaz de Melo & Lavrado, Rafael Coelho, 2017. "Implementing and testing the Maximum Drawdown at Risk," Finance Research Letters, Elsevier, vol. 22(C), pages 95-100.
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    Cited by:

    1. Ghaemi Asl, Mahdi & Rashidi, Muhammad Mahdi & Tavakkoli, Hamid Raza & Rezgui, Hichem, 2024. "Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 37-57.
    2. Selmi, Refk & Wohar, Mark & Deisting, Florent & Kasmaoui, Kamal, 2023. "Dynamic inflation hedging performance and downside risk: A comparison between Islamic and conventional stock indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 56-67.
    3. Chowdhury, Md Iftekhar Hasan & Balli, Faruk & de Bruin, Anne, 2024. "Investment styles of islamic equity funds," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 172-187.

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